Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data

We propose a degree of market efficiency in terms of entropy concepts. The relative efficiency for the US stock market varies over time from 1929 to 2012, with a slight decline in the past 10 years.     

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Homogeneity of variance and correlation coefficients is one of assumptions in the analysis of longitudinal data.However, the assumption can be challenged. In this paper, we mainly propose and analyze nonlinear mixed effects models for longitudinal data with exponential correlation covariance structure, intend to introduce Huber's function in the log likelihood function and get robust estimation (M-estimation) by Fisher scoring method. Score test statistics for homogeneity of variance and correlation coefficient based on M-estimation are then studied. A simulation study is carried to assess the performance of test statistics and the method we proposed in the paper is illustrated by an actual data example.     

Importance Sampling for p-value Computations in Multivariate Tests

Abstract

An importance sampling procedure is developed to approximate the distribution of an arbitrary function of the eigenvalues for a matrix beta random matrix or a Wishart random matrix. The procedure is easily implemented and provides confidence intervals for the p-values of many of the commonly used test statistics in multivariate analysis. An adaptive procedure allows for the control of either absolute error or relative error in this p-value estimation through the choice of importance sample size.     

Torsion balances with fibres of zero length

Torsion balances have good immunity to tilt and low rotational stiffness. However precise control of the position of the suspended torsion ‘bob’ is difficult in the presence of ground vibrations and tilt and this is a limiting factor in applications where Casimir forces or putative non-Newtonian short-range forces are being measured. We describe how the desirable characteristics of torsion balances can be reproduced in a rigid body that is suspended using applied forces rather than a torsion fibre. The suspension system can then provide a more precise control of the degrees of freedom of the suspended body. We apply these ideas to a superconducting levitated torsion balance, developed by the authors, and a generic electrostatic suspension. We present results of preliminary experiments that provide support for our analyses.     

An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran

The efficient market hypothesis (EMH) states that asset prices fully reflect all available information. As a result, speculators cannot predict the future behavior of asset prices and earn excess profits at least after adjusting for risk. Although initial tests of the EMH were performed on stock market data, the EMH was soon applied to other markets including foreign exchange (FX). This study uses the detrended fluctuation analysis (DFA) technique to test 01:12:2005–18:04:2010 Iranian Rial/US Dollar exchange rate time series data to see if it can be explained by the weak form of the EMH. Moreover, to determine changes in the degree of inefficiency over time, the whole period has been divided into four subperiods. The study shows that the Iranian Forex market (the Rial/Dollar case) is weak-form inefficient over the whole period and in each of the subperiods. However, the degree of inefficiency is not constant over time. The findings suggest that profitable risk-adjusted trades could be made using past data.     

Eulerian spatial and temporal autocorrelations: assessment of Taylor's hypothesis and a model

We present measurements of Eulerian longitudinal velocity autocorrelations in homogeneous, isotropic, high-intensity (～9%) free-stream turbulence behind an active grid. Spatial correlations are measured using particle image velocimetry as well as with two-point hot-wire anemometry (HWA), while temporal correlations are measured using HWA. The temporal correlations are transformed into spatial correlations by using Taylor's ‘frozen’ hypothesis with both the mean as well as instantaneous velocities. A model relating Eulerian spatial and temporal autocorrelations is also used for this purpose. The differences from the measured spatial correlation resulting from the use of Taylor's hypothesis on the temporal correlation is quantified; even at this moderately high level of turbulent intensity, the result from the use of the instantaneous velocity as convection velocity is practically indistinguishable from that obtained using the mean velocity. Use of the model produces a good agreement between the estimates of the spatial correlation function. A relation between Eulerian spatial and temporal integral scales is also derived.     

Properties of two amide‐based hydrophilic interaction liquid chromatography columns

Hydrophilic interaction liquid chromatography is a separation technique suitable for the separation of moderately and highly polar compounds. Various stationary phases (SPs) for hydrophilic interaction liquid chromatography are commercially available. While the SPs based on the same type of ligand are available from different providers, they can display a distinct retention characteristics and separation selectivity. The current work is focused on characterization and comparison of the separation systems of two amide‐based HPLC columns from two producers, i.e. XBridge Amide column and TSK gel Amide‐80 column. Several characterization procedures (tests) were used to investigate the differences between these columns. The chromatographic behavior of selected analytes indicates that multimodal interactions are responsible for retention and separation on these columns. Multiple testing approaches were used in order to reveal subtle differences between the SPs. Both amide‐based columns showed certain differences in retention, selectivity, and plate counts. Based on the tests used in this study, we conclude that the investigated columns provide a different degree of H‐bonding interactions.     

Monitoring abiotic degradation of branched polyethylenes formulated with pro-oxidants through different mechanical tests

The mechanical properties of two linear low density and low density polyethylenes containing a pro-oxidant additive were monitored during accelerated aging (60 °C in a convection oven) and weather exposure. Tearing tests (trouser) were performed for the first time in polyethylenes subjected to oxo-degradation revealing a transition from an extensible to a non-extensible material, at exposure times when standard tensile tests were not able to detect any changes in the materials. The essential work of fracture (EWF) technique was also applied and the results were in agreement with those of trouser tests. The specific essential work of fracture first increased with exposure time until the sample experienced a transition to a less ductile state where EWF was no longer applicable. EWF and trouser tear tests were more sensitive detecting the onset of degradation probably because they employ notched specimens that impose more critical stress concentration conditions than conventional tensile tests.     

Effect of Process Variable on the Gelation Time of Sulfonated Polyacrylamide Nanocomposite Hydrogel

Among the methods available to reduce water production during oil recovery, injecting a gelling system composed of a polymer and a crosslinker has been widely used. In this study, a Plackett-Burman design was used for screening a large number of factors such as concentrations of polymer, crosslinker, pH, temperature, and presence or absence of NaCl, CaCl₂, MgCl₂, KCl, thiourea, sodium lactate, and nanoclay on the gelation time of sulfonated polyacrylamide nanocomposite hydrogels by rheological tests. Among these factors, temperature, pH, and CaCl₂ concentration were found to have the greatest effect on the gelation time. The effects of these three factors and their interactions on the gelation time were then determined by using central composite design of response surface method. As a result, the interactions of CaCl₂ concentration with temperature and pH were considerably more than the interactions of pH and temperature on the gelation time. At low pH (3 < pH < 7), the gelation time decreased by decrease of pH while at CaCl₂ concentration of 3750–11250 ppm and at 7 < pH < 11, the gelation time increased with the increase of pH. It was found that temperature was the most effective parameter to control the gelation time.     

Cathode catalysts degradation mechanism from liquid electrolyte to membrane electrode assembly

Single-cell and half-cell degradation test procedures were evaluated for carbon-supported Pt/C, PtCo/C and PtNi/C catalysts. Half-cell analyses were employed to understand the effect of the number of cycles and of the scan rate over the cathode catalysts degradation under potential cycling from 0.6 to 1.2 V. The data suggested a time-dependent degradation for all three catalytic systems. Single-cell measurements were used to evaluate the impact of catalyst degradation on fuel cell performance. The measurements in both setups showed similar ECSA and ORR mass activity losses. Specific degradation mechanisms related to Pt dissolution, Pt agglomeration, and transitional metal leaching were quantified and correlated with performance losses.